Solving stochastic mathematical programs with equilibrium constraints via approximation and smoothing implicit programming with penalization

Mathematical Programming

Volumn 116, Issue 1-2, 2009, Pages 343-368

  Lin, Gui Hua ^a   Chen, Xiaojun ^b   Fukushima, Masao ^c  

^a DALIAN UNIVERSITY OF TECHNOLOGY   (China)

^b HIROSAKI UNIVERSITY   (Japan)

^c KYOTO UNIVERSITY   (Japan)

Author keywords

Here and now; Quasi Monte Carlo method; Smoothing implicit programming; Stochastic mathematical program with equilibrium constraints; Wait and see

Indexed keywords

AEROSPACE APPLICATIONS; APPROXIMATION THEORY; CLUSTER ANALYSIS; INTEGER PROGRAMMING; LINEAR PROGRAMMING; MATHEMATICAL MODELS; NONLINEAR PROGRAMMING; NUMERICAL METHODS; POLYNOMIAL APPROXIMATION; RANDOM VARIABLES; STOCHASTIC MODELS; STOCHASTIC PROGRAMMING; VARIATIONAL TECHNIQUES;

CONVERGENCE THEORY; CONVEX OPTIMIZATION; DECISION PROBLEMS; LINEAR COMPLEMENTARITY; NUMERICA L RESULTS; PENALTY METHODS; QUASI-MONTE CARLO APPROXIMATION; SAMPLE SPACE; SPRINGER (CO); STOCHASTIC MATHEMATICAL PROGRAMS; VARIATIONAL INEQUALITIES;

MATHEMATICAL PROGRAMMING;

EID: 45749085726     PISSN: 00255610     EISSN: 14364646     Source Type: Journal    
DOI: 10.1007/s10107-007-0119-3     Document Type: Article

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